Program Requirements and Schedule
Program Requirements
The program is designed to be completed by students in three semesters. It will begin with a late-summer orientation session and proceed through three successive semesters, utilizing the winter intersession of the first year and the summer prior to the last semester, for an internship with industry.
The Program includes the completion of the following formal requirements. A more detailed discussion of each item is provided.
• Core financial mathematics requirements (4 courses)
550.442 Investment Science
550.444 Mathematical Modeling of Securities and Financial Markets I
550.445 Mathematical Modeling of Securities and Financial Markets II
550.448 Financial Engineering
• Core applied mathematics requirements (5 courses)
550.427 Stochastic Processes in Finance
550.433 Monte Carlo Simulation and Reliability
550.413 Applied Statistics and Data Analysis
550.439 Time Series Analysis
550.461 Optimization in Finance
One course in Applied Mathematics and Statistics
One course in Financial Mathematics
One additional course with prior program approval
• Topics in Financial Mathematics Seminar
• Computing requirement (includes the Topics in Financial Computing Workshop)
• Communication skills requirement (includes the Communications Skills Practicum)
An overall GPA of 3.0 must be maintained in courses used to meet the program requirements. At most two course grades of C or C+ are allowed to be used, and the rest of the course grades must be B- or better.
Program Schedule
These requirements will normally be completed according to the following schedule:
Prior to Fall Semester of Year I (2 weeks)
Fall Semester of Year I
550.427 Stochastic Processes in Finance
550.433 Monte Carlo Simulation and Reliability
550.442 Investment Science
550.444 Mathematical Modeling of Securities and Financial Markets I
550.747 Topics in Financial Mathematics Seminar
Winter Intersession (3 weeks)
Financial Computing Workshop
Communications Skills Practicum
Spring Semester of Year I
550.439 Time Series Analysis
550.445 Mathematical Modeling of Securities and Financial Markets II
550.448 Financial Engineering
Elective 1
550.747 Topics in Financial Mathematics Seminar
Summer after Year I
Internship
Fall Semester of Year II
550.413 Applied Statistics and Data Analysis
550.461 Optimization in Finance
Elective 2
Elective 3
550.747 Topics in Financial Mathematics Seminar